Ironically, the one part of my current system that I did get a chance to hear before I bought, is the one that I'm least happy with, and will be replacing pretty soon. Those are my Definitive Technology BP8020 floorstanders, by the way. I heard them in the store, but ordered them months later as used/open box. I've never been able to get them to sound good enough for my tastes.
On the sight unseen side... let's see, I started with a Peachtree Audio Decco DAC/pre/amp, which I got based on specs, features, and online reviews, and only then a refurbished model, so that it didn't set me back too much. I like it. I still think it's got a great set of features, I never hear of a product that does everything it does at its price. I use its DAC and preamp stages.
Then I bought a used Acurus solid state 100 watt amp from Echo Hi-Fi online, also based on reviews and specs, and based on the $300 price tag. It's a good amp. It is neutral and has the right amount of power, IMO.
Finally I got a used Marantz universal SACD/CD/DVD player on ebay. It was cheap ($150). I thought all players must sound vaguely similar, and Marantz has a name. This one was a mistake. The sound isn't great, and it turns out it doesn't digitally output SACD signal, only CD, which limits its usefulness. When I went back and read reviews after the fact (which I didn't do when I originally bid on it), they mentioned that the audio quality was lacking. Lesson learned. Luckily it was with my cheapest piece of gear.
So I agree, in this day and age, you've got to be able to research your way into what you want. And, in my case, buy used/refurb. Then, if it's not what you want, out it goes. Think of it as a rental

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